Recall the opening scene in chapter 1. There's a young Yumeji and Merry running towards a gate.

There's also Yumeji's powers and dubious origins. Why was he able to link John Doe's world with Chain Noir's during that fight? Why can he use other Nightmare's powers?
Also, where is Yumeji's family? We know that he's staying at Isana's house, but there's never any real mention of how that came to be. We have no idea where Yumeji's home is, even if they claim that he's just "staying over" at Isana's.

Spoiler for Spoiler:

Maybe Yumeji is a nightmare like merry who came to the real world with amnesia when he was too young, and somehow he got "adopted" as a normal child?

Or maybe Yumeji's family are nightmares too and they came to the real world together and lived as normal people.